Infinite lives P2 P3 & P4
In story mode (regular or extra) if there are players 2 thru 4 then said players(2 thru 4) can hold - and press 2 (basically what this does is resets your player and health so you never lose those extra lives) but you need to proetct P1 or it's gameover.

Gain 30 Lives in the Bonus Jump Game
If you land on the 7th, 6th, 5th, 4th, 3rd, 2nd, and 1st floors in that order in the bonus jump game at the end of every level, the jump to the 1st floor at the end will reward you with 30 lives, instead of 30 Stars.

HAL Rooms
In Level 1, Stage 4, go all the way at the end in the first part of the level and walk into the dead end and go all left until you will see a gap and go into the bush with a black area, and you will find the HAL room. In In Level 6, Stage 5, in the 3rd room, go all the way at the end and fly up to those conveyor belts and go into that black area at the top of the conveyor belt. You will go into the cannon room and it will shoot you, and you will see the HAL blocks.

Unlockable - New Sub-Games
Collect a certain amount of Energy Spheres to unlock two new sub-games. These can be accessed aboard the Lor Starcutter, down the ladder after the main lobby.
Ninja Dojo - Collect 15 Energy Spheres.
Scope Shot - Collect 30 Energy Spheres.